TreasuryComponent.java

package org.drip.product.govvie;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>TreasuryComponent</i> implements the Functionality behind a Sovereign/Treasury Bond/Bill/Note.
 * 
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/govvie/README.md">Treasury Bills, Notes, Bonds, Futures</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class TreasuryComponent extends org.drip.product.credit.BondComponent {
    private java.lang.String _strTreasuryCode = "";

    /**
     * TreasuryComponent Constructor
     * 
     * @param strTreasuryCode Treasury Code
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public TreasuryComponent (
        final java.lang.String strTreasuryCode)
        throws java.lang.Exception
    {
        super();

        if (null == (_strTreasuryCode = strTreasuryCode) || _strTreasuryCode.isEmpty())
            throw new java.lang.Exception ("TreasuryComponent ctr => Invalid Inputs");
    }

    /**
     * Retrieve the Treasury Code
     * 
     * @return The Treasury Code
     */

    public java.lang.String code()
    {
        return _strTreasuryCode;
    }

    @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
        final org.drip.state.representation.LatentStateSpecification[] aLSS)
    {
        try {
            return new org.drip.product.calib.TreasuryBondQuoteSet (aLSS);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        final org.drip.product.calib.ProductQuoteSet pqs)
    {
        if (null == valParams || null == pqs || !(pqs instanceof
            org.drip.product.calib.TreasuryBondQuoteSet))
            return null;

        int iMaturityDate = maturityDate().julian();

        if (valParams.valueDate() > iMaturityDate) return null;

        double dblYield = java.lang.Double.NaN;
        org.drip.product.calib.TreasuryBondQuoteSet tbqs = (org.drip.product.calib.TreasuryBondQuoteSet) pqs;

        if (!tbqs.containsYield()) return null;

        try {
            dblYield = tbqs.yield();
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return null;
        }

        org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
            org.drip.state.estimator.PredictorResponseWeightConstraint();

        if (!prwc.addPredictorResponseWeight (iMaturityDate, 1.)) return null;

        if (!prwc.addDResponseWeightDManifestMeasure ("Yield", iMaturityDate, 1.)) return null;

        if (!prwc.updateValue (dblYield)) return null;

        if (!prwc.updateDValueDManifestMeasure ("Yield", 1.)) return null;

        return prwc;
    }
}